Welcome to the forum, er, "Mrs" EowynBrandybuck!
It is not a stupid question. As none of the
Ainur Lore Masters have appeared yet, I'll take a stab at it.
First, my (limited) knowledge about them leads me to believe that
Maiar had a greater ability to affect the physical, material, aspect of
Middle Earth when they themselves took physical form (I'm open to correction here, I hasten to say).
If that is the case, they would most likely take a form fitting their Ainur "angelic" nature. "
Balrog" is from a
Sindarin word meaning "
Demon of might", which is a somewhat general term, but it appears they were associated with, or of a similar kind to, Arien, the "fiery maiden" who was given control of the Sun, but of much lesser power, of course. Therefore, their physical guise would naturally be "fiery": they would be more able to exert their innate powers in that form.
There are various possibilities in looking for sources. An interesting one is explored by Shippey, in "Author of the Century":
Tolkien thought that the "Sigelwara" in
the Old English poem
Exodus ("invariably translated as 'Ethiopians'") should have been written *
sigel-hearwa, "a kind of fire-giant". That would connect them with the Old Norse fire-giant Muspell.
Another possibility is that they are based on the seraphim, the fiery angelic beings known from the Old Testament and later Christian theology and iconography.
Gandalf has clear seraphic associations, but of course the
Balrogs, as we encounter them, are in their "fallen" forms, after their corruption by
Melkor. What form they may have taken before that, I don't know, but I'd suspect even their unfallen forms would be somehow associated with their fiery nature. It's very suggestive, in any event, that the showdown between these two "fiery angels" results in their mutual destruction -- a sort of matter-antimatter collision.
Why they would
continue in that form is another question: the concensus, based on Tolkien's writings, seems to be that, once a
Maia began to interact physically with the material world, particularly if it involved self-interest (e.g.,
Melian), it became more difficult to "detach" oneself -- like an addiction, perhaps. And this would be much more so for
corrupted beings, such as Balrogs.
There's an interesting discussion here:
https://scifi.stackexchange.com/que...nur-were-unable-to-change-their-physical-form
Hope this helps -- at least until something better comes along!
