The first suggestion I have for you is to find the ship record for your Zauner. Did he come in through Ellis Island, Castle Gardens, or some other port? That document will show where he was living before emigrating to the US. Many of the people who emigrated from German ports were not living in Germany. If he did come from Germany, you can join a List for the area in which he lived – ie. B-W, Bavaria, etc. – and ask questions there. Many parishes had family books showing family lines as recorded in churchbooks, and people on the Lists often own the books and will do look-ups. Do you have the village of origin for Christian?
The Zauners in my line lived in the Banat area of Austria-Hungary. These Zauners emigrated to the Banat from Germany in the 1700’s. It is a line through marriage, so I did not look at the actual churchbook records myself. I used a family book for the village of Engelsbrunn to get the info I needed.
That gypsy story seems far-fetched to me. It makes a good story, though.
Sorry I could not be of more help.