Actually, Wanda and Pietro are the children of Polish Jews. They were just *raised* Romani.
As for who should join the roster first: people are just trying to follow the actual order of the founders in the comics; but that went against canon in the first movie with the inclusion of Cap, Widow and Hawkeye as founders. The actual 1960s sequence of membership, according to canon, should have been: Iron Man, Hulk, Thor, Wasp and Ant-Man as founders; Hulk drops out the next issue; Cap is discovered and inducted; Hawkeye, Quicksilver and Scarlet Witch join, while everybody else drops out, leaving only Cap's "Kooky Quartet" of himself, Wanda, Pietro and Clint; Wasp and (Gi)Ant-Man rejoin after a couple of issues; Swordsman, Hercules, Black Panther, and the Black Knight join, and Vision is created for the team; and Black Widow doesn't join until many years later.