The Gypsies are more properly referred to as Romi. They're descended from
people who left India around 1300 CE or so (can't recall the specific dates
that're cited; been awhile since I read anything on this) and migrated west
into Europe. They (formerly at least) speak an Indo-Aryan language that's
fairly closely related to Hindi/Urdu (I remember seeing a claim that Farsi or
Hindi/Urdu speakers could pick words out of Romi, but I dunno how reliable
that is). As for Celtic contacts, pretty unlikely. Both due to the late
date of the Romi migration, and because their "ecological niche" (for lack
of a better term) is filled by a native group in Ireland and Scotland.
The Irish and Scots Tinkers/Travellers (they prefer the latter) are of
Gaelic ancestry, they spoke a cant/jargo called Shelta that is apparently
based on Gaelic. I've seen some information on Welsh Gypsies, and as best
I can recall they were Romi.
I may be off a bit on the dates and some of the specifics; it's been several
years since I read anything on this subject...
Arne Carlsten, Anthropology and Criminal Justice, Northern Arizona University