I'm not commenting on an Ú-JLA,
snorri.
Seriously: the Dragon, yes, would have allied with Sauron. But the Balrog most probably wouldn't. It's more loyal to Morgoth, and Sauron abandoned Morgoth after his defeat at Tol-in-Gaurhoth.
He's probably napping so when he comes to serve Sauron his dishonourable discharge, he'll be ready for anything, like Sauron's patented avoid-the-mailman manoeuvre.