Honest question, trying to parse your statement (and bear in mind I don't live in Europe, so I'm surely missing the obvious): do you mean that in Denmark there is a bias against Eastern Europeans, such as Romanians?
Edit: excellent, got a downvote for asking an honest question and clarifying why I wrote it. Is this an example of the fine discourse we are supposed to have here? This is an honest question, I'm neither European nor a native English speaker and I have difficulty parsing the sentence I quoted. How on earth does this warrant downvotes?
I don't think the term Roma has a bad association, because in my experience nobody but the most woke even know it. That is the PC term. People I've encountered just use gypsy or their local equivalent.