The purpose of this article is to show the process by which Roma elite members actually construct political and cultural boundaries and at the same time propose a deterritorialised version of a Nation across state borders. As a result, the nation-building project and the process of ethnicisation promoted by Roma activists and members of the elite can be understood as a process of challenging borders and setting up boundaries. On the one hand, state borders may represent the barrier to surmount in order to accomplish an alliance based on a supposed ethnic category. On the other hand, the analysis of Roma identity and political strategies reveals the different forms of boundaries that may exist and how they may in fact be created and manipulated.