Regards the Gypie/Egyptian myth, blame the Parisians of the 19th (or was it 18th?) century.

When the Romany first started settling in Paris, their colorful garb was mistaken as being Egyptian...hence the name.

FWIW, the fact that the word Bohemian now generally means artistic types also started in Paris.

Apparently when Bohemians (fleeing some disaster or the other in great numbers) went to Paris, they found digs in the poorer quarters.

Starving artists at that time shared those neighborhoods.

Eventually the connection between Bohemianism and the artistic life of poverty became part of the vocab.