The full word "gypsy" is not a common pejorative in the US any more (if it ever was) -- if anything, I would argue that as a descriptor, it means someone is a free spirit, that lives a non-normative, romanticized life. That said, it's clear that the US inherited pejorative descriptors from somewhere because "to gyp" is to rip off someone. That said, I wonder if the US adopted "to gyp" as a toned down version of "to jew" after casual anti-semitism rightfully became unacceptable in the public sphere in the 20th century. If so, the lack of a sizeable Roma population in the US probably made "gyp" seem like a suitable alternative to a society that accepts "othering" in the mainstream.

In the US it has more of the fantasy trappings associated with it due to alot of pop culture stuff that we see, we just have this romantic notion of gypsies from Dracula and the Wolfman. In Europe though, I feel like even the most progressive European will instantly turn pretty negative when talking about gypsies in their own countries, I've never seen a European have anything good to say about Roma. Otherwise my only experience with them is listening to the band Gogol Bordello and that's about it.