Let's not get hung up on cultural differences. The word 'gypsy' is used now not to describe a group of people, but a lifestyle. For example, while shopping today, my wife was looking at what was described as a 'Gypsy dress'. Someone who travels a lot can be said to have some "Gypsy in them".
Historically it would have been used to refer to any itinnerant person / free spirit and not to a particular ethnic group. It was illegal in 17th & 18th century Scotland.
If you'd like a more full account, you may like to browse..https://en.wikipedia.org/wiki/Jamie_Macpherson
I'll leave you with a good Scottish term - Gaberlunzie - and itinnerant licensed beggar.