The presence of the Romani (often called gypsies) in Europe is just plain weird. An Indo-Aryan tribe randomly wandering into Europe? It seems like something out of those weird ATL were the Slavs end up in France or something.
What if we reverse this? What if a group of Europeans wanders into India during the medieval period to become a common minority in the South Asian nations? Who would they be descended from, why would they go to India, and how would their culture develop?