I doubt that the Ainur could have children from ainu-to-ainu marriages. It just doesn't sound right. They were created by Eru, the All-father, and don't seem to have any other parents/begetters. So I don't think they can have children either.
There's no "proof" I could think of for the above statement, but it just doesn't feel right.
Melian was the only Ainu to marry a non-Ainu. She is the mother of Luthien. However, I think that she would not have been able to have that child had she not married a being that could actually "multiply". Because of THingol's ability, Melian could have a child. Am I making sense? That child, Luthien, and her descendants had a bit of Maian power, inherited from Melian. But they were not Maiar. Luthien, the closest to being one, is still considered and Elf, though she should be counted as a half-elf-half-maia. I think it is because to be an Ainu one has to have ALL the abilities and disabilities of an Ainu. Since Luthien could give birth to Dior like any Elf or Man could, because of her own ability and not her husband's, she cannot really be a true Maia, only a powerful Elf.
If Manwe and Varda could have children, though, I think the child would have been a Vala, since both parents were. But again - it's just wrong in the context of ME. One can imagine a baby Elf, Man, Dwarf, orc (depending on what theory of their origin you believe in), Enting, and other physical living beings I might have missed. The Valar are less physical and more like spirits. And it just feels wrong when you try to imagine a squealing Valar baby, or even child. The Valar were never little, even when they were young. They cannot really be, once again, since they are spirits more than beings of flesh.
Edit: xed with Inzil
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You passed from under darkened dome, you enter now the secret land. - Take me to Finrod's fabled home!... ~ Finrod: The Rock Opera
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