I believe the term ‘gypsy’ is an abbreviation of ‘Egyptian’; linked to a story about them being recruited from Egypt as soldiers to push back against the Moslems. That would possibly tie up with a Canaanite lineage since iirc they have been referred to as being ex-slaves originally from Egypt. [edit] I think the stay in Caanan would qualify them as Judahites/Jews in any of the post Babylonian exile periods.