In the biography of Adam Smith written by John Rae, we learn that when the proto-economist was young, around 3 or 4, gypsies attempted to kidnap him. They released the boy when pursued by his family. This just seems like a fun fact to speculate on.
It wasn’t too uncommon an occurrence, so I doubt his parents harped on it too much. One can certainly imagine that they couldn’t help but threaten to give young Adam back to the gypsies if he didn’t go to bed.
How about Time Travel? Maybe communist time travelers went back in time disguised as gypsies to kidnap and re-educate the capitalist messiah. Luckily (?) the Trilateral Commision became aware of this devious plot and sent a commando team to foil it. Also disguised as gypsies, they killed off the communist team and the child. A capitalist changeling was left for the parents.