Balhalla is apparently an afterlife that Shamir Shamazel believed in. He thanked Balhalla that Alexander became his new master.
Behind the scenes[]
Balhalla in some contexts is an alternative spelling for Valhalla. It is spelled with a B but sounds like "Valhalla". However, Valhalla a nordic and viking afterlife which doesn't seem to fit into the theme of KQ6 in any way. Valhall is the hall of the slain within Asgard.
Possibly a reference to the idiom, "Thank, Heavens".
There is a Balhalla island near Borneo.