[Fordim Hedgethistle]

Here, best as I can figure it, is the etymology of the word balrog:

bal is a form of the archaic bale, which is OE for "fire"

rog is a form of OE roge which means a "pyre"

So that makes sense, bal+rog = fire+fire. No allusion to wings or flying though. . .

Some other interesting tidbits:

ballyragging (from "to ballyrag"), means to attack someone with abusive language

rog means "to shake a person or thing"

Not really relevant, but interesting notheless.