Here’s a theory from Lexequine which is very persuasive to me. She writes:

I bought the book “The Making of the Movie Trilogy” on Wednesday and have been madly reading it ever since. It is a wonderful book. But I am not writing this to tell you how wonderful the book is. I know that there has been a lot of speculation about the opening scenes for TTT. I think we get the definitive answer from Alan Lee himself. Found this on page 51:

Alan also produced many concepts for a possible sequence depiciting the struggle between Gandalf and the Balrog: their fall deep into the abyss beneath Khazad-dum and, deeper still, through fire and water, to the uttermost foundations of stone; then their long wearisome climb, by secret ways and the many thousand steps of the Endless Stair, to the highest peak of the Misty Mountains and a final, catalysmic confrontation. He sifts through his sketches of the Endless Stair, which twists and turns in a mase of Esher-like illusions: “I wanted to convey a feeling that they are struggling in an unreal space — somewhere between life and death — Gandalf pursuing the Balrog up, down and around; now coming toward you, now rushing away, a roller-coaster of a tracking shot, during which the whole axis might turn, creating the vertiginous feeling of not knowing which way up you are!”

Now doesn’t that sound like a Jackson-like opener? And I love the mention of the “Foundations of Stone” which is the first track on the soundtrack.