But it 
must  have been made of 'shade' 'cos Tolkien says it was
 like  shade 
 
 
	Quote:
	
	
		| It looked like the black shade of a horse led by a smaller black shadow | 
	
 The 'shadow' in the case of the Balrog 
is an 
unnatural 'substance' - it is 'cast' by the 'Dark Fire' of the Balrog - which isn't ordinary fire.
Its appearance may be manipulable to some extent by the Balrog, but it is 'Shadow'.