The gypsy element is a super-big deal to Lorca's writing in general, and to "Romance Sonambulo" specifically. "Gypsy" is a term that gets thrown around a lot to describe people from Eastern Europe, Spain, and even Ireland. For our purposes here, it's important to know that Lorca was thinking of the local population of gypsies who lived near his home in southern Spain. They fostered the flamenco culture and, to Lorca, were an inspiring group that embraced life with passionate abandon. He wanted to celebrate them, and their philosophy, in his poems.