Balloon is a Ruku (怪鳥（ルク）,Ruku?, literally translated as "monstrous bird") from Romance Dawn V.2 and best friend to Ann. It was sought after by Spiel for its magical blood, and was the last of its species. It always returns to Ann's side no matter where she is when separated.
In One Piece, there is a scene where Luffy accidentally gets himself caught by a giant bird. The way the bird caught Luffy in its beak is similar to the way Balloon transported Luffy back to Ann. The title page of the manga chapter in which this scene happens also shows several small "Balloon" like birds.