There are similarities between klezmer and Roma (Gypsy) music, and fusions of the two have become very popular in recent years. There are several reasons why Jewish klezmer and Gypsy music share common elements and blend together well.
Like the Jews, the Gypsy people are an ancient ethnicity that did not originate in Europe; they are believed to be people of the Indian subcontinent who have migrated through the Near East into Europe. Also like the Jews, the Gypsy people were a separate minority group generally living on the margins of the societies of the countries in which they lived.
Both groups maintained distinct cultural identities despite being widely scattered, possessed no country or homeland of their own, and were frequent targets of expulsions, discrimination, and persecution. Like klezmer, Gypsy music is likely traditional religious Roma songs combined with the music of host countries, and influenced by Gypsy status as a wandering and often marginalized minority. Despite of all this, the music of both groups is often joyful and exemplifies the energy and fire of life and of living.
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The following is a beautifull example from the movie Train de la Vie
— Raphlex
[Burdel Dali Presents] 
Raphi, Jewish and gypsy music are not just similar; Jewish music is an assimilation of gypsy music. Roma music in Eastern Europe can be traced back to Rajasthan, with pretty much the same type of instruments and singing style. The same is true of Flamenco and middle-eastern music. In fact, all classical European musical instruments are originally gypsy: the violin and the strings, the flutes, the string percussions and the cymbals. Klezmer has no root in ancient Israel. Even religious chanting style in Ashkenazi synagogues is originally gypsy. Just giving credit where credit is due. Here’s another cinematic reference for you: watch Latcho Drom
I believe you are right – and yes, if you like Gypsy music, Latcho Drom is a film you mustn’t miss. It is an absolute gem.