How can I find my grandads birth certificate in the UK?

My grandad always used to tell my mum that he was born to gypsies and was sold to a rich family, but he always made up stories and joked around so we thought that was what this story was. When he died my mum asked my nan if she had a copy of his birth certificate but she said she had never seen it. My mum and dad have contacted lots of different organisations and there is no registration of my grandads birth. We are now starting to wonder if his "story" was true, as it seems he was never born! Where do we go now?