I think some people simply aren't aware that "G**y" references the Roma (and is also considered a slur by most), because they associate it with the negative stereotypes which have been ascribed to them.
Gypsy seems to reference at least a dozen or so different groups of people in different languages (some languages use Tsinganoi-related version). Some groups use the word themself, others don't.
Most often it is the mainstream society living in stationary houses describing people living in temporary encampments with a different culture.
