Who were the Nazgul?

[Raynor]

There is every reason to believe that a Balrog probably would not get involved with Sauron as his master

You may be right; I will leave this part at this, since speculation would lead us nowhere.

Aragorn may well be implying that Gandalf slew a great enemy that Mordor itself feared.

Nothing in that quote shows a hostile intent from the balrog, so there is no need for Mordor to fear him. If Sauron thought he was a threat somehow, he would have ordered the implosion of Moria on his head.