Got a fair number of responses to my “Gypsy arm” request, and they broke down into two basic categories. The first I’ll call the “pragmatic”, exemplified by this note from Mexico Bob:
You don’t have to go all the way to Spain for the answer. Mexico is much closer. It is called Gypsy arm because of the dark tan color of the cake like the skin of a Gypsy and the the things that are added to the outside of the cake look like jewelry on the arm of a Gypsy
That makes an awful lot of sense, especially given the way so many of these desserts are decorated. See here and here. Interesting, isn’t it, how most of these jelly rolls have no jelly at all, but are instead filled with custard? Anyway, the second category I’ll call the “romantic”, which is exemplified by this excerpt from Yahoo answers (hat tip: Libby from At the Very Yeast):
A famous desert from our area, which is very delicious, is called brazo de Gitano (gypsy arm) because it looks like a forearm. This comes from the days that the punishment for stealing was cutting off someone’s hand.
This I’m a lot less inclined to believe, not only because it’s graphic (and unappetizing) but because it has the kind of odd specificity — which nevertheless can’t be corroborated — that’s the hallmark of so many food myths (you know, baguettes in trouser legs, bagels made in the shape of stirrups, that sort of thing). The vast majority of the time these stories turn out to be entirely made up. I have no way of knowing which is definitively true, save to say I’ve read quite a lot of bogus food history, friends, and this definitely emits the odor of baloney.