I have looked into this question and found some answers for you.
BoLT II: Fall of Gondolin/Glorfindel v Balrog
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The ardour of Glorfindel drave that Balrog from point to point, and his mail fended him from its whip and claw. Now had he beaten a heavy swinge upon its iron helm, now hewn off the creature's whip-arm at the elbow. Then sprang the Balrog in the torment of his pain and fear full at Glorfindel, who stabbed like a dart of a snake; but he found only a shoulder, and was grappled, and they swayed to a fall upon the crag-top. Then Glorfindel's left hand sought a dirk, and this he thrust up that it pierced the Balrog's belly nigh his own face (for that demon was double his stature); and it shrieked, and fell backwards from the rock, and falling clutched Glorfindel's yellow locks beneath his cap, and those twain fell into the abyss.
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Also
From BoLT II the Commentary on The Fall of Gondolin.
CT says the following:
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The Balrogs are 'demons of power' (p. 181); they are capable of pain and fear (p. 194); they are attired in iron armour (pp. 181, 194), and they have whips of flame (a character they never lost) and claws of steel (pp. 169, 179).
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This would certainly allow for an artist to put such armour in a picture. However, I don't know if there is any evidence for the armour to have been retained as the Balrogs became more powerful and less numerous in the later writings. (still have a book or two to check
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