MTG: Balthor the Defiled as a Commander
You sure can. 903.9 says anytime a commander goes into exile, the graveyard, hand, or library from anywhere; you can instead put them into the command zone. This will, however, increase the cost to play them by (2) every time you do this, which is known as Commander Tax. E.g. First cast of Balthor from the command zone will cost the base of 2BB, 2nd time will be 4BB, 3rd time 6BB, etc.

Also, for older cards, make sure to check the oracle text on your card-viewing site of choice if the wording is confusing. (Gatherer is the official Wizards card-viewer.)