Everything about the creature is shadow, fire, and ash. So if his shadow extends like wings, then they're wings, as shadow is literally part of a Balrog's body.

It would not have been awkward, it would have been describing what heeamt had he meant that. Seems some people are incapable of understanding that these are magical beings who's bodies may not be entirely made of material that we would expect.

Balrogs - and I shouldn't even have to say this - dohave wings.