According to
The Thain's Book:
Quote:
Gandalf remained and placed a shutting-spell on the door, but the Balrog came into the Chamber of Mazarbul and engaged in a battle of wills with Gandalf through the closed door. During the struggle, the door broke and the east wall and the roof of the Chamber of Mazarbul collapsed. The room and Balin's Tomb were buried in rubble.
It could also have been one of the Nameless Things, as you say, but it's more likely to have been the Balrog, as the Thain's Book said. It never says that the Balrog was actually buried, and Gandalf knew what the Balrog was even before it came in to sight, suggesting that it was the Balrog he had duelled with earlier, and had been hoping that it was forced to stay on the other side of Mazarbul.