It would not be unlikely for the Romany language to have some similarities with Celtic, since they are both branches of the Indo-European group. It is believe to be closely related to Hindi, which is descended from Sanskrit, which itself is related to Greek and Latin.

For example, the Irish Ra and Indian Raj are related, and also related to Royal and Regal. The equivalent English word, King, comes from a different branch of the family.

BTW
The group of languages descended from PIE (Proto-Indo-European)
includes many other dead languages such as Hittite, as well as living languages from northern India, Iran (Persian), and almost all of Europe. Within Europe, only Basque, Finnish and Hungarian do not belong to the group. One (extinct) member of the family even found its way to China.