C, 257 bytes
char*s="%s they came for the %ss, and I did not speak out-\nBecause I was not a %s.\n\n";p(x,y){printf(s,x,y,y);}f(){p("First","Socialist");p("Then","Trade Unionist");p("Then","Jew");puts("Then they came for me-and there was no one left to speak for me.");}