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I'd put forward the scream need not be only a physically heard sound, but a psychic cry as well. Angelic spirits who had pledged their devotion to Morgoth could have been capable of some sort of spiritual connexion with him.
The Silm makes it quite clear the Balrogs were responding to Morgoth's call from Angband, so travel in some sort of spirit form seems the logical explanation.
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Music alone proves the existence of God.
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