Gaia, 179 bytes

⇓"the "3ṁ"s, and I did not speak out-¶Because I was not a "2ṃ".¶¶
"Then they came for 
First"["Socialist"Trade Unionist"Jew"↓¦⇑"me-and there was no one left to speak for me."]4ドル>+

Try it online!

⇓"the "3ṁ"..."2ṃ".¶¶ First helper function. Argument: s
⇓ Push "Then they came for "
 "the " Push "the "
 3ṁ Bring s to the top
 "..." Push "s, and I did not speak out-¶Because I was not a "
 2ṃ Push a copy of s
 ".¶¶ Push ".¶¶"
"Then they came for Helper function. No arguments.
"Then they came for Push "Then they came for "
First"[".."..".."↓¦⇑"..."]4ドル>+ Main function.
First" Push "First"
 [  Begin working in a list.
 ".."..".." Push the list ["Socialist" "Trade Unionist" "Jew"]
 ↓¦ Call the first helper function on each.
 ⇑ Push "Then they came for "
 "..." Push "me-and there was no one left to speak for me."
 ]$ Close the list and join with no separator.
 4>+ Remove the first 4 characters and concatenate to "First"

Gaia, (削除) 179 (削除ここまで) 175 bytes

⇓"the "3ṁ"s, and I did not speak out-¶Because I was not a "2ṃ".¶¶Then
" they came for 
First""Socialist"Trade Unionist"Jew"↓¦⇑"me-and there was no one left to speak for me."]$

Try it online!

⇓"the "3ṁ"..."2ṃ".¶¶Then First helper function. Argument: s
⇓ Push "Then they came for "
 "the " Push "the "
 3ṁ Bring s to the top
 "..." Push "s, and I did not speak out-¶Because I was not a "
 2ṃ Push a copy of s
 ".¶¶Then Push ".¶¶Then"
" they came for Helper function. No arguments.
" they came for Push " they came for "
First"".."..".."↓¦⇑"..."]$ Main function.
First" Push "First"
 ".."..".." Push the list ["Socialist" "Trade Unionist" "Jew"]
 ↓¦ Call the first helper function on each.
 ⇑ Push "Then they came for "
 "..." Push "me-and there was no one left to speak for me."
 ]$ Wrap the stack in a list and join with no separator.

Gaia, 179 bytes

⇓"the "3ṁ"s, and I did not speak out-¶Because I was not a "2ṃ".¶¶
"Then they came for 
First"["Socialist"Trade Unionist"Jew"↓¦⇑"me-and there was no one left to speak for me."]4ドル>+

Try it online!

Gaia, 179 bytes

⇓"the "3ṁ"s, and I did not speak out-¶Because I was not a "2ṃ".¶¶
"Then they came for 
First"["Socialist"Trade Unionist"Jew"↓¦⇑"me-and there was no one left to speak for me."]4ドル>+

Try it online!

Explanation

3 functions are defined here (1 per line). The bottom one is called first. ¶ gets replaced by newlines.

⇓"the "3ṁ"..."2ṃ".¶¶ First helper function. Argument: s
⇓ Push "Then they came for "
 "the " Push "the "
 3ṁ Bring s to the top
 "..." Push "s, and I did not speak out-¶Because I was not a "
 2ṃ Push a copy of s
 ".¶¶ Push ".¶¶"
"Then they came for Helper function. No arguments.
"Then they came for Push "Then they came for "
First"[".."..".."↓¦⇑"..."]4ドル>+ Main function.
First" Push "First"
 [ Begin working in a list.
 ".."..".." Push the list ["Socialist" "Trade Unionist" "Jew"]
 ↓¦ Call the first helper function on each.
 ⇑ Push "Then they came for "
 "..." Push "me-and there was no one left to speak for me."
 ]$ Close the list and join with no separator.
 4>+ Remove the first 4 characters and concatenate to "First"