The instructions for the new thermostat indicates that 3 wires
are needed: L - Common supply, Load - Call for Heat, N - Neutral.

The thermostat you have chosen is an old mechanical bimetallic type, whilst
your system is wired for a modern type. Although you can get it to work by
omitting the neutral, it will operate very poorly. Send it back and buy a 2
wire electronic type, preferably programmable.

Christian.