I've just bought a Cd called 'Romany Yog' by Tom Walsh and Gordon Boswell (who runs a Romany museum in Licolnshire) and one other. I haven't listened to it yet but it has a song Tom wrote about Appleby fair because, as he says, he was surprised that there wasn't already one.

You could try googling Tom or Gordon or the CD name to see if there's anymore information.