What religion was a gypsy?

Answer 1

Romanis usually follow the religion of their host country(usually Christian or Muslim), but, in & among themselves, have their own particular religious beliefs unique to their own culture.

Answer 2

Gypsy may refer, often pejoratively, to any of the following nomadic peoples:

• the Romani people, the largest ethnic group popularly referred to as gypsies
  • Roma (Romani subgroup), a major Romani subgroup in Central and Eastern Europe
  • Sinti, a European subgroup of the Romani people
• the Dom people, an ethnic group of the Middle East possibly related to the Romani
  • Lyuli, a branch of the Dom people of Central Asia
• the Lom people, an ethnic group of East Anatolia and Armenia possibly related to the Romani
• the Banjara, an ethnic group of India
• the Domba, an ethnic group of India
• the Irish Travellers (or Pavee), an ethnic group of Irish origin mostly found in Ireland, Great Britain, and the United States
• the Scottish Highland Travellers (Ceàrdannan) (literally "craftsmen"), an ethnic group of the Scottish Highlands
• the Yeniche people, mostly in Germany, Austria, Switzerland, France, and Belgium
• Sea Gypsies, a number of different peoples of Southeast Asia

So it is difficult to answer your question without details of who we are speaking of.