Jimmy Marks brings to the screen an anomaly: a Gypsy who welcomes us into his world. Filmmaker Jasmine Dellal traces Mr. Marks and his family in a multifaceted search for identity-though who is searching for whom is at times in doubt. "Foolish questions" are parried away, and what remains is an existential romp through a family drama, the exigencies of "traditional" Roma society, the U.S. courts, and a surreal escape to Las Vegas. Live footage is nicely combined with home movies, archival photos, and drawings, and the voice of an enigmatic "Uncle Noah."-Thor Anderson