Only 2 wires! - Replacing old 240v double pole t-stat with new digital double pole
You can't get there from here

That thermostat simply will not work in that location.  The wiring to that thermostat is wired as a switch loop. 

This is the 240V version of "no neutral wire in the switch box, so no smart switch". 

Back to the store it goes.  They probably get 30% of them back this way. 

Go 24V system

Fuel furnace thermostats run on 24 volt DC low voltage.  Your best option is to install the ~$25 worth of parts needed to convert this to a 24V thermostat system.   Go back to the heater (there's usually plenty of room in there) and fit a 240V-24V transformer and 24V-240V contactor.  Have the contactor switch current to the heater (preferably both legs).  

On the 24V transformer, you define the two terminals as R and C.  The ideal color for C is blue, so get a multi-color pack of electrical tape to make this clear to yourself and the next guy.  R is ideally red. 

On the contactor coil, one terminal is C and the other one is W (ideally white).  

On the cable to the thermostat, those are R and W.  Don't use the ground wire. 

So now you just connect them up: R to R, W to W etc. You'll need a jumper wire from thermostat C to contactor C. 

At this point, it should work with the old thermostat, because the old thermostat is dumb, and doesn't care if it's switching 12A@240V or 0.05A@24V. 

Now you can change it to a "smart thermostat" of the 24V persuasion, which is a huge variety including the Nest. I recommend one that is capable of functioning without a C-wire.  If the contactor doesn't flow enough current for that to work, the factory can instruct you how to connect a special resistor module in the heater between W and C.