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.