No one is certain where the gypsy tribes come from, and every tribe seems to have its own tales and stories (few believable about their origins).
There seem to have been few events that deal with the gypsies either. Due to their nomadic nature, they have had little impact on the region. Although, a librarian working on a history of the Phoenix War does note that one of Gondegal's chief commanders was from a gypsy clan called the Lizardclaws.
Again, because of their nomadic nature, little is known of their leaders either.
// I know this isn't much help, but I wasn't really sure what specifically you're trying to find out.