Aren't the Rom/Gypsies originally from India?
Folks used to think that they were from Egypt, but that's wrong--right?
You are quite right, on both counts.
As far as cultures go, everything is very loose and 1930s, but roughly the Hyborians can be considered to have gone through similar stages to the western europeans, leaving some nations behind at each stage. So Hyperborea is a bit Mycenean with cyclopean fortresses and ancient religions, Corinthia and probably Brythunia are more classical greek with city states and complex politics, Koth seems to be rather Roman with a theoretically absolute monarch with a load of revolting governors, and the Western Hyborian states are medieval with feudal monarchy and barons. of course, its far from an exact match.
Zingara seems to be somewhat spanish, and Zamora seems to be new world spanish: Dale Ripke makes a very convincing case for Mexico as the basis for Zamora. Turan is essentially Sassanid Persia with hints of Ottoman Turk, Stygia is Egyptian of course, Shem is ancient Middle East: Assyria in particular, and the Picts are mostly Forest American Indians. The Cimmerians are highland Scots and the Aesir/Vanir are vikings.
Again, though, I stress it is important to use these as a first impression feel thing only; all of them differ from their archetype, some of them quite widely.
