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they are constantly ablaze
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Actually, I was not under this impression. I believe that the "mane" of Durin's Bane was "kindled" as he leaped across the fires at Gandalf and the Fellowship, implying that it was not on fire previously.
I think that Rumil brings up a very interesting point:
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The Balrogs, however, having chosen their fiery demeanour, seem to have put that possibility out of the question
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Perhaps it was not in the nature of any of the Balrogs to produce offspring, to create anything. So possibly, it was not in the nature of many of the Maiar. Melian was the only angelic being to have a child. It seems this may have been due to one of the three following reasons:
- She was the only Maia for which this was part of her nature.
- or unions between Maiar and Elves were permitted, but those between Maiar and Maiar were not.
- or Thingol and Melian were the sole exception to a rule against the Maiar having children, allowed by Eru.
Although this is only really the result of speculation, and it doesn't look like anyone has seen anything definitive written by JRRT.