The Romani — the Sinti, Manouche, Bohemians, Roma, Gitano, Gypsies — were a well-known presence in Europe during the Regency. They would have been a familiar sight, travelling the road or camping in woodlands, from Scotland to Hungary.
We meet them from time to time in Regency Romances, sheltering the runaway heroine in their wagons, being colorful as they dance around the campfire, or welcoming the hero, who owns the land they're allowed to camp on.
As a people, they originated in northern India. Educated Regency folks might well be aware of this. The idea would have been floating around scholarly circles.
The German scholar Grellmann published a ground-breaking linguistic study in 1783 that demonstrated similarities between the spoken language of the Romani and Sanskrit.
For those of you who do not have the information just at your fingertips, Sanskrit is an ancient language of India in which classical Indian epic poems, like the Rigveda, are written and from which many northern Indian languages are derived.
Modern genetic studies suggest the Roma originated from a single group in northwestern India. Rom living today are closely related throughout Europe. Over seventy percent of males belong to a single genetic lineage that is unique to the Rom.