That isn't our Romani. Even genetically speaking that's only *mostly* our Romani.
For this as with so many things in life, there is but one solution: Soviet Conquest.
Seriously though, if you can get the Soviets ruling enough gypsies then they'll splat out an Autonomous Soviet Socialist Republic inside a generation. Getting all the gypsies to move there being a different matter.
Say the Nazi "what the hell are they" debate comes out differently, and the Romani are mostly left alone. The Soviets eventually turn up and annex east central Europe. Maybe some bits that were puppeted in OTL. They create a tiny Romani state as an ASSR near what OTL was the line between the USSR and its Bloc. Probably in the Carpathians. Part of Carpatho-Ukraine and/or Slovakia, perhaps? That'd be a good additional wedge into their new sphere.
Stalin gets suspicious shortly before his death, and forces the Soviet Union's gypsies to move there. A fair sized minority of the rest of Communist Europe's Romani end up there as well. Some of the non-Romani locals are forced out to make room. Then Stalin dies before he purges more than a couple leaders. Some of the new ASSR's citizens immediately move out, but many do not.
Despite all this fiddling, the Soviet Union still collapses much as in OTL. For geographic reasons, the gypsie state doesn't really fit into any of the consituent republics. Maybe they declare themselves an independent state and are lucky enough to have little land or resources of value - so their parent country ignores them. Maybe they become independent in a later split like the one that did in Czechoslovakia.
Either way, there they are: An ill-reputed, indefensible, dirt-poor state in Eastern Europe. Whatever they call it (Romania is taken), it will be notable only for its language and size, odd and tiny respectively.