Old electric baseboard heater thermostat wiring
This is 240V split-phase, so both hots are equivalent.  The white wire should be remarked one of the 8 legal hot colors, since it is not a neutral.  If I were wiring this in conduit, with the choice of any of 8 colors, I would use black and black because the hots are interchangeable; no need to distinguish hots from each other.  

This thermostat is single pole.  They make a double-pole version where terminal 1 is populated, that one connects 1-3 and also 2-4.  This one simply leaves in terminal 3 as a convenient splice block, it connects to no other terminal ever.  

Pick one wire from each cable; join them (I don't care how as long as it's code legal; feel free to use terminal 3 as a splice block).   

Of the two remaining wires, put one on each of the terminals 1 and 3.