Hi @adriaurora,
I answered a very similar question recently for @grecol over here so it is still fresh in my mind 🙂
To filter a view for events that occur(ed) anytime during a specific date range, you can use the following filter logic:
Event start date is on or before your chosen range's end date AND Event end date is on or after your chosen range's start date
So to filter for events that were ongoing in May regardless of start/end dates, try:
Event start date is on or before May 31 AND Event end date is on or after May 1
Hope that helps!
-Stephen