Interesting - saying this since I’m from ex-Yugoslavia. As fucked up the politics of ex-Yu were in the 90s, surely they would have automatically assigned people their new citizenships, depending on the federal republic / successor state people lived in. But perhaps it also required issuing new documents, who knows what procedural issues could’ve arisen along the way, certainly stoked by the disinterest in the citizenship of some Roma in a foreign country…

many of them (again, of those living in camps) are country-less after Yugoslavia dissolved

You mean, the Roma who live in “camps” in Italy were formally Yugoslavian citizens?