Arpeggios and scales (and chromatisms/enclosures) provide you a framework to solo with the idea of outlining changes. scales give you a lot of notes, arpeggios less and chord tones even less. So you can definitely use arpeggios for any tune, and in gypsy it's a typical way to improvise. Now building a proper vocabulary is the tricky part (for me at least), you can learn note for note solos, do transcriptions, incorporate typical fragment licks but in the end, I think the more important part is heavy listening of the genre