Heh, I'm as white as it's possible to be. I do not exaggerate. I am aristocratic white. The reason I consider myself to be "white" is that the society around me treats me differently from a black person or a person of "hispanic" appearance or custom. Nobody in the US, I mean NOBODY, would ever try to sell me short for having some Scottish ancestry.
However, if I lived in the UK, it might be more relevant. There was a time when the Scottish were regarded as a "barbarous people" who needed their benevolent English masters there to "educate" them. That's not the only "racial" division in the UK's history, though. I'm sure there was a time when it would have been scandalous for someone from Cornwall to marry someone from Wales. "Did you hear about Cadi? She married that pasty-eating no-good! They're all deviants, you know." The thing is, that's no longer relevant.
And the fact that you have Romani ancestry might mean something to you, but it doesn't mean anything to most Americans. I'm afraid that ignorance has more to do with this than anything, but the fact of the matter is that people in your society are going to react to you as a white person. If you lived in Eastern Europe, being Romani actually would affect your social status, for the worse. Romani people in Eastern Europe are treated pretty horribly.
On the other hand, if you really feel that your Romani heritage is important, you should try talking to your state congressman about it. It isn't hard. Most legislatures allow you to just drop in on your representative whenever it suits you, or you might have to call in an appointment. There are a lot of different ways you can set up a petition or something. I'm certainly not against someone identifying as a certain ethnicity. If it's relevant to you, that's the only person who really needs to think so for it to matter.