The Celts were in that land before the Germans, so they could claim Celtic descent to appear more autochthonous. There are many folk myths about the origins of people, not all of them were true. For a long time, Hungarians believed they were of Hunnish descent.
According to Wikipedia, they claim descent from the Helvetii tribe. The Helvets only lived in Switzerland whereas you can find Yenishmen all the way in Flanders and Westphalia:
https://upload.wikimedia.org/wikiped..._in_Europa.png
They are nomads that migrate a lot. That's how they would have ended up in France, etc. which are countries that border Germany.
The largest concentration of them are in Rhineland. If they were descended from the Helvetii, it would be Switzerland.