Yes, I believe that they have their own identity and they should have the chance to exert their independence. Their history is strong and their culture is known by other nations. It would selfish to think that one nation can somehow be not fit to maintain their own identity and independence.
If there was anyone deserving independence it's the Roma community. They have been persecuted for years to the point which it is hard to trace the genesis of their being. They leave behind only a record of centuries of exodus from many lands. Independence would force everyone to acknowledge their culture and end their persecution.