I wanted to mention a couple resources to help inform you about the situation of Roma, especially in Europe, which can be very useful in helping you gain a knowledge to pray for them more intelligently. These are not Christian sites so I cannot agree with some of what is said, but just like any secular news source, it can still be very helpful. When you read about these Roma needs, they can prompt you to pray with understanding.
romano_liloro@googlegroups.com
http://romavirtualnetwork.org/