It's on the Musical Traditions anthologies of Wiggy Smith, "Band of Gold", and the Willett Family, "Adieu to Old England". The first album's booklet noted:

The song was originally written for the turn-of-the-century music halls by C Bellamy and G Weeks and - unusually - has been hijacked by Travellers as a sort of an anthem. Little of the Victorian composition remains except Wiggy’s first and final stanzas - the chorus to the original.

I’m a Romani Rai (I’m a Romany Gent) (sung by Wiggy Smith) (Roud 4844)
(Recorded by Gwilym Davies at the English Country Music Weekend, Postlip Tithe Barn, Glos, 27 June, 1998)

I’m a Romani Rai, I’m a poor didikai
I live in a mansion beneath the blue sky
I live in a tent, and I don’t pay no rent
That’s the reason they call me some Romani Rai.

Now I’m roaming around the country
And this is the life that just suits me
I’m a Romani Rai, and a poor didikai
And a Romani I’ll remain.

Now I live in an old gypsy’s wagon,
With the rooftop all civvered in gold [covered]
Now I’m soon think about getting married
And having a wagon and tent of my own.

Now I’m some Romani Rai, I’m some poor didikai
I live in a mansion beneath the blue sky
And I live in a tent, and I don’t pay no rent
That’s the reason they call me a Romani Rai.

[rai - Romani for gent or lord; didikai - a person of mixed-race, Romani/Gorgio]