@Inginsub @lina
Gypsies are the second largest minority over here, with about 3% of the population.

Yes, the words are unrelated. In Romanian, the correct way to write it is actually "Rroma". Not sure if the double "r" is to emphasize the distinction between them and ethnic Romanians, or if it's closer to their language. Part of it is probably to show that there is a stronger emphasis on the "r" when you pronounce the word.
In any case, "Rroma" is derived from gypsy language, while Romania/Romanian are derived from latin.

It's basically a linguistic coincidence that they look similar.