I definitely don't think Balrog is a robot... I doubt there's a single circuit in his body...
I think he's more of a familiar or wizard's creation kinda like a Chimera? His arms turn into little bat wings that can support his most likely massive weight along with Quote and Curly... Not very robotic-like... you could try to argue that maybe he's a magical robot, but I'm still not buying that he's a robot, but more of a magical creature.
What about the super missiles he shoots? Well... what's to say he wasn't just equipped with them? Picked them up from a soldier and took them? I mean he actually drops them and Quote picks em up... so I don't think they are built in.
I mean if Balrog IS a robot. Then why doesn't Misery just transform Quote into a frog? Why don't we see more magically enhanced robots?
Also if Cave Story Beta's screenshots are allowed, all those pictures of baby/mini Balrog creatures might be more proof that he's a living creature of some strange sort...
I don't think Balrog just happened to get cursed along with Misery by Ballos in the last 10 years or so. Most likely he got cursed the SAME time the cursed crown was created. I think Balrog was probably like Misery's henchman/friend/familiar. He probably went along with Misery following her orders...
Another way to look at it; Jenka has her dogs... even Ballos has his dog... but... Misery has none?
I think the dogs are a guardian/familiar of their owner's. I mean sure they look like innocent weak little puppies; but read their descriptions. They are far from normal dogs. Seeing the future? Teleporting, talking dogs? Anyways.. food for thought