Yep, that's the confusing part. Some people think he's just /a/ lord of balrogs, not /the/ lord of balrogs; some think Lungorthin and Gothmog are the same character, just in different states of Tolkien's ideas. Whatever, we have a blue Balrog, that's all that counts
"But Lungorthin Lord of Balrogs on the mouth smote him, and Morgoth smiled" this is the only mention of him, in The Children Of Hurin.
Although, from what I could find out, the pale/blue "design" has been assumed from his (sindarin) name: "Lun" - either ulun - monster/creature or luin - blue "gor" - gor - fear/pain "thin" - thinn - gray/pale