Balgrogs are an extinct species of Discworld fauna once native to S'belinde. They were very large animals with an extremely resilient skin for which they were hunted; both waterproof and strong it was prized as material for boots, coats, tents and of course Balrugs. The Smith family were known to posses a Balrug.
Later in The Compleat Discworld Atlas more information on the creature is revealed but they are named as 'Balrogs' instead of Balgrogs. This is likely a mistake as it replaces the Discworld monsters name with the name of the creature that it supposed to be parodying.