Gypsies are found all over the world and in many climates. Like any other breed, some might have skin problems, but it probably wouldn't be from the weather. Feather, as in all feathered breeds, needs constant attention, so they do not get problems, such as scratches and CPL. Make sure you have a vet check before purchase and that the vet is thoroughly aquainted with CPL. Most vets are not.
I've seen some scam 'Gypsy Vanner' ads from Bulgaria, so be careful where you plonk your money. Do you know the breeders and/or the background of the horse you are considering?