I'm late to the party, sorry. As a proofreader of the Spanish edition, I have been given access to Horse-lords so I can finally coment.
I wouldn't place a balrog in Nan Mordeleb. Not only because my personal concerns of using them in Northwestern Middle-earth (I think they'd be more easily integrate in other areas), but also because they don't seem to have a corrupting influence in the surrounding land (and here we have all those strange trees deformed trees and mushrooms and fungus). And the most important reason is that he is a spirit of fire in a wood! He would burn Fangorn to the ground in a heartbeat and claim the land instead of cowering in some cave.
The spawn of Shelob works better, but as noted before we have quite a few spiders in near Mirkwood, so something different would be more interesting.
I have been reading, playing and thinking about Middle-earth for years, so there are some obscure references of creatures I have given thought about how they could be. One of those creatures would fit nicely here...
I give you my take on Wereworms! (Ok, not that exciting, I know)
I picture them having all the malice, cunning and magic of a dragon, but in a weak, slimy, ugly body. As the balrog, he fled the destruction on Angband hiding deep into the earth. Then, by the secret paths of creatures far below the surface, he travelled long miles exhausted and wounded until emerging in the cave of Nan Mordeleb. His corrupting influence left an impront in the land, but he has been very careful about not revealing himself (he is not interested to bow to Sauron or enrage his ent neighbours ).
His words can drive a person mad and he thrives causing suffering (think of Glaurung playing his cruel game on Níenor). He is a scheming mastermind and a potential ally of Saruman. Crebains fly from the dark forest to Orthanc and back.
I know wereworms are supposed to dwell in the east (according to hobbit legends ) but having just one here doesn't seem too bad. Moreover, he is a hidden threat presenting no problems with canon compatibility.
Thoughts? Too weird and far-fetched or do you think he may work?