Wiring a bathroom fan/light with only one neutral wire
There are two neutrals on the fan light, because 


The fan gets a hot and a neutral. 
The light gets a hot and a neutral. 


By giving you separate neutrals, it gives you the versatility of being able to put the fan and light on separate circuits, or other circumstance where you'd need separate neutrals.

In your case, and in most instances, both devices share a neutral - the two hots (red and black) are switched, the neutral is not.  

You address this by just sticking two 6-inch wires (of the size you are using in that circuit; larger is allowed, smaller is not) in those connectors, then joining those two wires and your supply neutral with a wire nut (or splice connector if you're in Europe.)  I would not alter the fixture.