This latter statement is precisely what we do in science, and as we do our understanding becomes deeper and the theories (models) more general. In the first statement, however, you raised the question of "what ... actually are". And that's a rather loaded question, unless you care to define precisely by what you mean by "what ... actually are".

To try to make this more clear, despite the success of Quantum Electrodynamics (probably THE most successful scientific theory we have in its abilities to predict fundamental physical quantities), I don't think you will find too many physicists who would say that anyone knows what a photon or an electron "really are", beyond what our "mathematical abstractions" (as confirmed by observation/experiment) describe them to be. That's not the same thing as "we know nothing" of what they are (or the post-modernist view that physics is a study of WASP values) or that we won't gain a deeper understanding of them in the future (we certainly will).