Roma are similar to Jews in the aspects of how they've always been diasporad, ostracized or historically oppressed, and they were also systematical exterminated by the Nazis, so why with the rise in nationalism after the war didn't anybody think to give the Romanis a state?
Jewish state claiming nationalism had been building for decades at this point. There were Zionist conferences, modern Hebrew clubs, Zionist Youth groups. There were long debates over location until 1905, when they settled on advocating for a Jewish national home (implicitly preferably, but explicitly not necessarily, a state) in Ottoman Palestine. Groups like the Jewish Territorial Organization were set up to begin buying land in Palestine/the Land of Israel, for settlers who had already started moving there decades ago (the First Aliyah, or modern mass migration to Israel, was 1882-1903; the Second Aliyah was 1904-1914; and the fourth Aliyah ended with the onset of WW2; and clandestine illegal immigration continued during the War under the name Aliyah Bet).
I don't know of any analogous Romani claims, organizations, or movements. Israel didn't just happen as a consolation for surviving Naziism, but was the culmination of decades of political organization and agitation (it was of course deeply influence by other European nationalistic movements, both by their anti-Semitism and by adopting many tropes in imitation of them).
The main push and the current support of Israel from the West is mainly traced to Christian theology related to the Second Coming of Jesus. According to most denominations, Jesus returns when the temple at Jerusalem is rebuilt. So the first step in that process was getting the Jews back in Palestine.
Unfortunately for the Romani and many groups like them (Kurds and Hmong come to mind), they don't have an ancient holy land that's sacred to anyone, as far as I'm aware.
That's just my theory, anyway. I might be wrong.