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Balrogs certainly could not breed with other Balrogs or other Maiar in general.
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Why not? Is this explicitly stated anywhere? For, if it is not, I don't see why they shouldn't have had the capacity to reproduce. After all they are incarnate, and there is at least one other instance of an incarnate Maiar reproducing (Melian). Also, it is arguable that Dragons were incarnate Maia, and equally arguable that they bred.