Should be "on my balcony" only, unless "Na" can mean "close to but not necessarily standing on" my balcony. Romeo stood at Juliet`s balcony (he was below it too, but also at it) and Juliet was at her balcony even before had stepped on to it. "At" would convey a sense of attendance or duty or expectation or regularity at the space where the balcony was. Hope you understand. By the way I am British. Perhaps other native speakers have a different feeling about the difference between "at" and "on". In some contexts "at" and "on" would be interchangable, like, for example "Knock on the door" or "Knock at the door". But I would say that in this balcony case, "at" and "on" convey meanings that differ well beyond interchangability.
That is in English. Portuguese is a different language and in Portugal they do not have balconies but almost every room, no matter what floor it is on, has a varanda (not the same as the English "veranda").