Yeah, even the Tolkien estate (notorious for their efforts to protect things like "mithril") cannot enforce anything on the name Balor, because it comes from Irish mythology. That's why D&D used it, because originally it was "Balrog" and the Tolkien estate sued.
That said, "Balor" as very specifically a winged being of fire and darkness that uses a whip? Might be a bit dicey. The Balrog case implies that keeping the appearance but changing the name was sufficient to avoid copyright issues, and as you say the idea of a big strong fire demon with a whip is probably not copyrightable in general, only in specific expressions (e.g., individual pieces of art, not all possible depictions that meet the description.) But as with most things in this field, unless you're sure a suit wouldn't happen, you're at risk of getting slapped with one, and most small studios could never afford to defend themselves even if they would win.