Balion, like Geroia, is a region mentioned as existing outside Calradia. It is stated to exist across the expansive western ocean in Warband, being mentioned as the homeland of Konrad.
It is only mentioned in Konrad's biography, where it is implied to be connected to Calradia through a shipping route. It is completely absent from the campaign. Thus, it is unknown if it is considered canon or will be revived in later installments.
It may be the in-game equivalent of Britain. Balion is an anagram of "Albion", a name sometimes referring to Britain, as well as being across a western sea just like Britain is across the British Channel and the North Sea from mainland Europe. Also, no British nation has an equivalent in Calradia, as it would have a Western European design, looking much like the Kingdom of Swadia or the Kingdom of Rhodoks.