I doubt they would have come from the Void. Being Maiar, then they would have been present during Ainulandale, wouldn't they? That was an interesting stage since each ainur's song seemed to seperate each to form a group, to eventually form to what they would become.
What threw me off, really, about the Balrog were that they were sometimes referred to as Children of Morgoth (or to that effect). If my sleep depraved brain is vaguely recalling.
Mockery of the Valar? Or perhaps more closely to that of the Atari (er, did I get the Wizards right?).
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