Tolkien invented Balrogs for different stories at different times of his life. He first imagined Balrogs to be evil shock troops serving an imaginary Vala/deity Melkor in The Book of Lost Tales, his presumptive "mythology for England". The Book of Lost Tales takes place in an imaginary past in what would be known as the British Isles. The Balrogs of these stories were unwinged creatures, somewhat man-shaped, but given a demonic profile. They were said to have ridden into battle in great numbers, sometimes on the backs of metal dragons, sometimes inside the metal dragons. Many years later, when Tolkien was asked to write a sequel for The Hobbit (which became The Lord of the Rings), he plotted a scene in which his protagonists would be confronted by a great evil. After considering several options Tolkien settled on a Balrog. At first he introduced a Balrog very much like those he had used in The Book of Lost Tales, but he subsequently changed the physical description and nature of the creature. Around that same time (1938-1948) Tolkien began revising the texts and notes for the backstory he built for The Lord of the Rings. Now, instead of being set in an imaginary prehistoric England the story was set in an imaginary prehistoric Old World (to be equated with Europe in the reader's mind). The new Balrog, instead of being a physical automaton created by a pagan god, was now imagined as a fallen angel which had manifested itself as a creature of fire and darkness. Tolkien described the darkness as being "like a great shadow". This dark emanation, when the Balrog approached the Fellowship of the Ring in Khazad-dum (Moria), grew to an immense size, reaching out in the apparent shape of two vast wings. The wings should be viewed as figurative only in the sense that they were not physical appendages of the Balrog but merely shapes manifested as part of its awe-inspiring form. Many people have tried to argue that these wings either did or did not exist, but the text makes it clear that the darkness surrounding the Balrog was perceived by the characters and so was as real as that. The wings were merely extensions of the darkness. Inasmuch as the Balrog's dark emanation was a part of its physical manifestation, what Tolkien called a self-incarnated body, the Balrog of Moria had the ability to shape its dark emanation into wings that reached out in a very menacing fashion.
Balrogs have wings. The...erh thing on Disturbed's album cover for Indestructible does not, so I would say no. The answer as to whether Balrogs have wings is one of the most controversial questions in the Tolkien universe. So that is not a definitive answer, but could be interpreted as such by some.
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