Thanks, I always sort of thought it came from “Jew”.
Gypsies, at least the word, came from “Egypt”, and some people still think they originated there. Most say originally India then Romania.
Yes, “gypsy” does originate with “Egypt.” There were Gypsies (Romani) in Egypt in the 19th century, probably pursuing the growing tourist trade.
The Gypsies origin in India is now solidly established by linguistic and anthropological evidence and (to some extent) archaeology.
The connection with Romania is, like the connection with Egypt, a snapshot that became fixed in language. “Roma” were endemic across Central Europe for a thousand years, at least.