While I don't think Balrog is directly "of their family", perhaps he was created for Misery, by their magic? A homunculus of sorts? To be a familiar?
Jenka and Ballos, seem to have magical dogs always around them. And the one near Ballos glowed as if he had magic (or was a ghost as some say).
[
SUB THEORY : PUPPIES CONTROL THE ISLAND/Jenka's magic involves puppy power]
Perhaps, you don't select your familiar; but it is selected for you? Like a test of magic, and usually you'd get something like an animal familiar... But, instead Misery got Balrog...
Or perhaps, Balrog belongs to a race of unknown creatures that we know little about :
http://www.joystiq.com/screenshots/cave-story-beta-version/3948128/#/0
Some even suggest he is a robot... though I don't subscribe to that theory...
Perhaps he is a magical creature, able to absorb and use all types of things. Super missiles, bat/dragon [for mini-wings], the ability to smash through stuff perhaps due to something extremely dense and hard... Maybe he looks a bit different with each item he takes on?
IF he were a robot though, you would think he would have come during the 10 years ago war. But, his familarity with Jenka makes me think that they know each other better than that. Besides, is it even possible to add people to the curse?!
===============================================
On to the main question, how did Balrog get dragged into the
Thomas Crowne Affair....
Well, Balrog is probably more of a follower than a leader. Misery may have had a good plan, and she easily convinced Balrog to come along.
"With that power, we can turn you into a normal familiar! Or maybe even back to a human!"
"Really?! Huzzah!!"
I dunno though. The real question is What was the "Demon Crown" supposed to do? What was its purpose? Was she just after power? Or did the Crown just twist her mind with the curse?
And why a Crown? Not to mention its HUGE size.... wouldn't you want something.... smaller, simplier for yourself?
And what is the nature of the curse... Does it influence minds? Why is it called ">>Demon<< Crown". Does it actually literally have something to do with demons? Originally?
Some possibilities :
The Crown was intended to be a curse and a crown. But, it was intended to be used on someone else... ...maybe Balrog. Balrog can be a lousy familiar if he is one. He goes against her orders, gets things wrong, busts up places unintentionally probably...
If Balrog was cursed properly, he would be the perfect servant, and she would wield that extra power the demon crown gives.
Or, Misery was just power hungry for magic. Maybe her magic wasn't strong enough to accompish her goals, and she convinced Balrog to help. Or maybe as some speculate, she has NO magic, and this was the only way she could inherit her power.
[Some magic can only be passed on after the passing of the next in line of a bloodline. Jenka and Ballos seem like they are going to live FOREVER. Maybe this was the only way to gain that power ahead of time...]
Looking at the Crown, I wonder if there isn't a power hungry curse upon the Crown. Looking at Ballos' past, a king, that probably wore a crown; perhaps became hungry for Ballos' power; or grew to hate him for some reason. Maybe he wanted to expand his kingdom...
But, what we do know : Miakid took the Crown, destroyed the robots, and attempted to destroy/conquer the world.
The Doctor took the Crown, and was attempting to do the same.
What if the Crown twists or draws certain people to the crown. And warps them or brings out their desires, that are like what the original King did to Ballos.
Maybe no matter what your intentions are with the crown, maybe you'll betray the people that trust you, and then seek to destroy/conquer to sate some crazy ambition, thirst for revenge, or something.
Maybe that whole thing is just part of Ballos' curse.
I once thought that the purpose of the Crown, was to control the island itself. I mean how does one move the island to conquer the world? I can't imagine sending Frenzied Mimigas down to the forest, and to slowly make their way to where the humans are... It is more likely that the island moves about, and that perhaps the Crown is the key to controlling it.
After all, one of the "Crowning" features of the Demon Crown, is its ability to control things. Such as the Mimigas who have ingested the Red Flower.
And that Red Flower (Demon Flower* as it was once called in game), is connected to the Core, which is connected to the Crown, which is connected to Ballos!
Red Flower transformations are reverted upon the Core's destruction.
The island floats because of the Core.
The Demon Crown controls those who have ingested the Red Flower (or its substance)
Those that absorb the substance, become mad, wild and powerful.
Ballos is plagued by wild magic, and that magic was used to create the Crown, which cursed Misery and Ballos. It will return as long as Ballos lives.
The Doctor was killed, and yet he rose from death because of the Red substance. Yet he disappeared soon as the Core was defeated.
The Core is the heart of the island.
To sum it up :
My theory is : Wild Magic comes from the Source, Ballos.
It is kept seperated from Ballos or drained or fed off of, by the Core.
The byproduct of the Core causes the island to grow Red Flowers occasionally.
These flowers cause you to be filled with Wild Magic from Ballos.
The Demon Crown controls those with Wild Magic.
If the Wild Magic pulses throughout the island in some mostly innocent form or another; if the Core is the key to the island's ability to fly, then the Demon Crown which controls that wild magic could control the island's movement, among other things.
So maybe what Misery wanted was to control the island, to have a kingdom of her own. Who were those Winged Statues based off of? What if Misery dreamt of her kingdom in the sky? Her statue...
Balrog would have liked the idea of having a kingdom, I imagine. A grand ambition~
Then again, perhaps Misery wanted revenge against the world. If she had been alive during the time that Ballos went crazy and destroyed that Kingdom. What if Misery lived there, and witnessed the destruction of her home, and everyone in it.
After all, a name like "Misery", seems to have some meaning of import.
If she knew about what the King and its people did to Ballos, turning him into a monster, when he might have been the kindest man there... Maybe she wanted revenge on the world when she created the "demon crown".
.... THEORIES! SO MANY
What else... What if... well anyway, returning again to the OP.
Balrog, why did he get cursed? If he tagged along with Misery, then they probably would both be cursed.
Or alternatively, if Misery did this on her own, but Balrog is Misery's familiar, perhaps the curse inadvertently was passed on to Balrog as well.
And lastly, what if the curse did not happen right away, kind of like the Red Crystal. What if Misery had a purpose for creating the Crown, and was able to work towards that goal... for a while. Before it twisted, and became a curse.
And then there's the theory : "Bad Luck, So Sad"; Balrog was taking a walk and ran into Misery. The Crown fell to the floor, and cracked the Red Eye.
NOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOO
Thus the curse fell upon the both of them.