No. The Lord of the Rings: Conquest (2009) does not allow playing as a Balrog in any mode on Xbox 360.
| Faction | Heroes |
|---|---|
| Good | Gandalf, Aragorn, Legolas, Gimli, Éomer, Faramir, Haldir, Elrond |
| Evil | Sauron, Saruman, Witch-king, Lurtz, Gríma, Mouth of Sauron, **Balrog (NPC Only)** |
In Conquest 360, you're Gandalf fighting the Balrog — not the other way around.