Yes, undoubtedly Tolkien implies they still were Maiar, even if there's no direct quote to prove they were. Consider:
We know Gandalf was physically capable of feats no human could accomplish.
From The Return of the King, Appendix B, "The Tale of Years" (All cited dates are Third Age):
3019
January 15 The Bridge of Khazad-dûm, and fall of Gandalf.
January 23 Gandalf pursues the Balrog to the peak of Zirak-zigil.
January 25 He casts down the Balrog, and passes away. His body lies on
the peak.
Gandalf pursued and fought the Balrog for eleven days, inclusive of end points. He dies at the end, but doesn't die along the way. I shouldn't imagine he and the Balrog spent their lunchtimes at the Zirak-zigil Cafe, or napped in their cubicles. There's no indication of food, water, or rest. To answer the question, he keeps going without all that. We can conclude he feels the hunger, and thirst, and fatigue, but needing to relieve them doesn't enter in to it.
The fight clearly must have been Maia vs. Maia, hand to hand, uncloaked.
Based on these facts we can deduce that Gandalf's spirit, his ëalar, can, when pressed, fully take over his body, which is that of a Man, real and not feigned.
If that isn't an Ainu's capability vs. a Man's I don't know what is.