Tolkien left it as "nameless things" I think, I don't recall anywhere reading any more detail about it. They're old and foul, we know that much. Probably of the same ilk as Bombadil and Ungoliant, no one really knows where or what, just that they exist.
There's all sorts of vague "beasties" mentioned throughout Tolkien's works, even the "fell beasts" the Nazgul ride are only given by descriptive names, never any origin or "real" name for them.
[CENTER][I][FONT=georgia]"Never laugh at live dragons"[/FONT][/I]