In movie theaters or similar venues, there are balconies (usually in the rear and elevated) and if one sat there, you would say you were "in the balcony". These areas would provide seating for a large number of people. Because they were high up and farther from the stage, they were sometimes referred to as "the cheap seats" or "the nosebleed section". If the kind of balcony you are referring to is a small outdoor area accessed from a room above the ground floor, you would not say "in" but rather "on the balcony". I.e., there are two very different meanings for the English "balcony". http://dictionary.cambridge.org/us/dictionary/british/balcony HTH
Sur = On/over
Dans = In
There's no way you could be INside a balcony, therefore you use on. Even if it's common used in conversations, it is not correct to say.
You're mistaken when you say that it is NEVER correct to say "in the balcony". See the comment on this page from n6zs.
In an earlier exercise the sentence to be translated was «My mother is on the balcony». The correct answer was «Ma mère est au balcon». Could «au balcon» be used in the case of «je suis…» rather than «sur le balcon»