Alloy with which Gypsy plugs opening (8)

I believe the answer is:

nichrome

'alloy' is the definition.
(Nichrome is an example)

'gypsy plugs opening' is the wordplay.
'gypsy' becomes 'rom' (a Rom is a member of the Roma people).
'plugs' means one lot of letters goes inside another (plug can mean to fill a gap).
'opening' becomes 'niche'.
'rom' put within 'niche' is 'NICHROME'.

'with which' is the link.

(Another definition for nichrome that I've seen is " high-temperature alloy".)

I've seen this clue in The Guardian.

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