Possibility: Gypsies have roots in India, picked up the name “Gypsies” because during the Ottoman Empire they were exiled in Egypt.
http://www.google.com/search?q=coventry+telegraph+mystery+cubes&tbm=isch
Well a tale from archeology class was that they were called Gypsies in Europe because they claimed to be from Egypt. The europeans were impressed by ancient Egypt and Egyptians. That made them easier marks for scams.