According to Terence Winter the character Gyp Rosetti was completely fictional.

http://www.slate.com/articles/arts/inter..._season_3_.html

Slate: Speaking of which, in Season 3, you introduce a fabulous but terrifying character, Gyp Rosetti, who is definitely a psychopath. Was there really a Gyp Rosetti?

Winter: No, he’s completely fictional. Gyp represents a new breed of gangster. Things got progressively more competitive and more violent as the 1920s progressed. When Prohibition was first enacted in 1920, most people stockpiled alcohol, thinking they’d have enough to last them for years. By 1923, that was starting to run out, so your average person started to rely more and more on criminals. Hence the profits in the alcohol game went up, and the competition and the violence increased as well. You had people like Gyp Rosetti, who were essentially low-level criminals starting to work their way into the game.

Gyp the Blood maybe? He was a Jewish gangster from the early 1900's. Actually he was dead by the 20's. Executed.