Python 3, 203 bytes

t='they came for '
s='First '
for i in'Socialist','Unionist','Jew':s+=t+f'the {i}s, and I did not speak out-\nBecause I was not a {i}.\n\nThen '
print(s+t+'me-and there was no one left to speak for me.')

Try it online!

-5 thanks to Felipe Nardi Batista.