Interesting catch on the detail there, Inzila, as usual. Perhaps the Balrog flew down a ventilation shaft.
In any case, as Nerwen has mentioned, it seems doubtful that the Balrog entered Moria proper and then made his way to the deep places. Instead he must have wormed his way there from the surface by some other means, only to be "unearthed" by the Dwarves later on. You've inspired me to page through some of the accounts of the coming of the Host of the West to see if I can glean more details...