The name "Rom" or "Romany" comes from their language, Romany, which is an Indo-Iranian language closely related to those spoken in northwestern India.
See this for more information.
There seems to be no ethnic connection between these Gypsies and the Irish Travellers.
" El Pelle " a strong willed Spanish Roma lived around Barbastro, Spain working mostly as a horse trader. He was born into a poor Roma family in the region of Aragon. As he became more successful in his trade, he gained the reputation of being an honest man who tried to improve the relations between the area's Roma and the gaje or non-Roma . Deeply religious, " El Pelle " was arrested in July, 1936 by an anti-clerical militia after he publicly defended a priest. When asked whether he had any weapons, " El Pelle " extracted a rosary from his pocket. At the age of 75, he was killed by a firing squad along with a number of other priests and souls who had been arrested in the area by forces opposed to Gen. Francisco Franco. " El Pelle "...died for the faith that he lived out," the Pope said " His life showed how GOD, Jesus Christ is present in various people and races and that all people are called to holiness".