You don't actually buy a large full-size Balrog. The same thing is probably true for the Sauron character. You buy a Mini-Balrog, which is a shrunken-down version of the actual Balrog monster. Sadly, you can't unlock the Mini-Balrog in-game. He's downloadable content for certain consoles. Sadly, those consoles don't include IOS, Android, Wii, or 3DS. I think the consoles were Xbox 360 and PlayStation 3.