Setting a mood for someplace not in the West
Gypsy minor is also Hungarian minor or the double harmonic minor scale. It is the same as harmonic minor with an extra change – #4. “Double harmonic” comes from the two long seconds between b3 and #4, and between b6 and maj7.
Melodies using this scale have an exotic, romantic flavor for listeners accustomed to more typical Western scales. I have used myself without being aware of a name. What is important is how we form the scale. Any mode or altered mode that uses b3 for the 3rd note is generally called minor.