All you really need is a greater concentration of Romanies in one place. Probably somewhere in the Carpathians.
The problem is that, as nomads, you'll have difficulty getting the concentration of people necessary to found a proper state. Furthermore, Romany internal dynamics mean that there would probably be a lot of rivalry between the sub-groups wherever this state is formed.
Moreover, the incomers are going to be, by definition, treading on someone's toes wherever they choose to settle.
Perhaps, if they're in the service of a local lord as mercenaries, he might see fit to create an appenage for his gypsy mercenaries out of the lands of a conquered foe...?
I seem to remember reading somewhere that there was a short-lived gypsy polity on Cyprus or something of that ilk. Can't remember the exact details, though.