Gypsy also has the more general meaning of 'wanderer', and as Dane Vaughn clearly strayed far from good taste, I guess it works.
Jokes aside, it is a tricky word. Irish travellers are also referred to as gypsies, so it doesn't just pertain to Roma, or any ethnicity. It is used both pridefully by gypsies themselves, and as a slur by others. One thing all 'true' gypsies have in common is that they are on the fringe of society and marginalized. To be gypsy is to be an unrecognized minority and invariably means being discriminated against. Arguably they are more outside of society than any other group and that has something to do with why the term is still uncontroversial to most. If at all they complain, few hear, never mind listen. Not sure if Dane being American has anything to do with it. It doesn't work that way vice versa. I'd say it's just a cringey tattoo. Not dissimilar to Foy using a forbidden word to express friendship. That word is just too loaded, and perhaps 'gypsy' ought to be as well.