: I read that Orion (also named Telimektar) is the son of Tulkas. Orion and Turin Turambar fought Melko in the Final Battle.

This is among the oldest ideas in Tolkien's conception of the Lost Tales and was abandoned long before the The Hobbit and The Lord of the Rings were published.

As the mythology stood at the time:

: My questions are:
: Could the Vala get kids? Or was it only a short fantasy of JRRT?

Yes, the Valar could have children. In the earliest conception Orome was the son of Aule and Yavanna, Eonwe (Fionwe-Urion) was the son of Manwe and Varda, etc.

: How powerful were these kids? As powerful as a maia?

Quite powerful. The main difference between the Valar and their children was that the Valar could not be slain, although their children could.

: Where did the spirits come from? Was it possible for a maia or other spirit to go from Eru to Arda after the Vala left? Wasn't there something like an Everlasting Flame as some kind of transportation from Eru's halls to Arda?

The Flame of Iluvatar was the spark of life, not a transportation device. The Valar and Maiar seemed to have entered the world in their own personal ways; some quietly, others not. In any case, their does seem to have been some kind of 'physical' arrival in each case.

: Is this the only theory of the Final Battle or are there also other theories?

There were various planned endings. Read The Book of Lost Tales for the various details.