"It hurts..."
"So... Hot... The pain..."
"Help me... It hurts... So hot..."
... well, if he hadn't said "Help me" I might consider it. It doesn't make much sense for Balrog to be saying help me, considering he is coming to save them.
If not for him saying help me, it might seem like Balrog is just ranting to himself as he is making his way to save them. I know the timing might seem odd, you hear the voices and then suddenly Balrog appears. But, at the same time the walls are closing in on them, meaning someone or something is causing the walls to close in on Quote and Curly. And the walls are some crazy Skull face walls no less...
As long as it wasn't Balrog or Misery who made the walls close in to seal Ballos for good, which doesn't make much sense because Balrog was sent by Misery to save you... I am pretty sure it wasn't Balrog who said that.
[this is assuming it isn't Balrog]
Also.. Why does Misery save Q and C? Maybe she's a nice person, maybe she likes to pay her debts. Although what was her intention with creating the Demon Crown in the first place I have to wonder...
Or perhaps, if Ballos has a chance to rise again as something more powerful; Misery knows the only ones capable of stopping him would be the very heroes Quote and Curly?