A "spic" is an offensive slang term that in no way refers to someone who's "european-white". While a "gypsy" can be, plenty of people expect all three of those groups the guard lists as having dark hair and swarthy/dark complexions. That's why the guard rattles them off as possibilities.

Think about it. Your interpretation makes no sense. It'd be like walking up to someone and saying, "Hey, what are you, Swedish? Irish? Chinese?" You wouldn't be likely to do that because one of those things is not like the other. So your idea that the guard is listing off two white groups and one mixed race one is incorrect.