Roma are variously known as Rroma, Gypsies, Tsiganes, Tsigan, Gitanos or Gitans, as well as Sinti, Cale, and many other names.
They are Europeans, having arrived in Europe in the Byzantine Empire in the Xth century. They are thus by far not the latest arrivals in Europe, for for example, the Magyars (Hungarians) arrived around the same time in Europe.
They are a true transnational European minority, with 10-12 million Roma living in Europe, with a distinct culture, language, traditions. They are well integrated and part of society in many countries. This was especially true in the Balkan pre-nationalistic wars.
In their entire history in Europe, contrary to all other invaders such as the Germans, Slavs, Bulgars, Magyars, etc., they never even tried or aspired to have their own country, much less even to conquer one by force. They settled in most European regions, this much before the countries as we know them today existed.
They are Europeans, at home in their country, often proud citizen, but nevertheless Roma.