No easy answers in my brain to the question of what it even means to be a body of flame. Can the flame manifest in shape other than a humanoid body? Can it take other shapes? If extinguished, can it rekindle itself at will, or does it need something like existent fire to rekindle it? etc... Also since Gandalf refers to the Balrog as a thing of slime after it fell into the water, I lean toward the idea that the Balrog is some other type of material entity which happens to be on fire..

Not familiar with Allen's work, but that is fascinating. And sounds like it would be excruciating to go through constantly...could explain the Balrogs' ill-temperedness. X)