TPI wall fan forced heater wiring question
Well the fan is going to need 240 volts. If the existing wiring has not been wired for a 240 volt fan then it needs to be changed. This would involve opening the main breaker panel. I would recommend an experienced electrician for this. If it is already set up for 240 then that part is good. 

The owner's manual for the fan should explain the wiring but my guess would be since the fan is rated for 240 or 208 then one of the wires labeled L1 (possibly the blue) would not be used for 240. The other black wire should be labeled L2. The two blacks would then be connected to the black and white of the cable, and the green is your ground wire that gets connected to the bare wire of the NM cable. 

If this is your first project with electrical work I would recommend getting the assistance of an experienced electrician to guide you.

Good luck!