I am too lazy, depressed and/or disorganized to write one. I would recommend looking at the Gypsy discussion in Broadway Song & Story, edited by Otis L. Guernsey (you may find it with McNally listed as the author if you're searching on used book sites), Sondheim & Co. and the two Laurents books. The standard recs, pretty much, except Guernsey, which is not that well-known. A really good book on Gypsy would be nice to have.
Only one section of Broadway Song & Story is about Gypsy, but I think anyone who is a regular on this site would find the book very interesting.