First they came

SOGL V0.12, 103 102 101 bytes

 →∑‘¾ο╤Ε9‘}ψ⁴‘¹"4¡‘Q°‘:¹¹I{ū_:¹"Eā/}l6⁸SÆ□⁴↔b⅜╬I℮;YΥηκ*█⅞F^Κ⅜⁸{x⅔⁵⅟╚?Z‘O}"Ι╚╬√⅔δηvΧχ⁷⁾Η<υL┼!Ο'μΠ⁵╝⁷‘⁾

Try it Here!

Explanation (here I replaced the compressed strings with .. to save space):

..‘.‘..‘                              push "socialist", "trade unionist" and "jew"
        ¹                             wrap in an array: ["socialist", "trade unionist", "jew"]
         "..‘..‘                      push "first" and "then"
                :                     duplicate the then
                 ¹                    wrap in an array: ["first","then","then"]
                  ¹                   wrap those two in an array: [["socialist", "trade unionist", "jew"], ["first","then","then"]]
                   I                  rotate clockwise: [[first,socialist], [then,trade unionist], [then,jew]]
                    {         }       for each do, pushing the array
                     ū                  uppercase the 1st letter of each word in the array - ["First", "Socialist"]
                      _                 splat the contents on the stack   "First", "Socialist"
                       :                duplicate the 2nd one             "First", "Socialist", "Socialist"
                        ¹               wrap in an array                  ["First", "Socialist", "Socialist"]
                         "..‘           push "ŗ they came for the ŗs, and I did not speak out-\nBecause I was not a ŗ." with ŗ replaced with its appropriate item in the array
                             O          output that
                               "..‘   push "then they came for me-and there was no one left to speak for me."
                                   ⁾  uppercase the 1st letter of it
                                      implicitly output it in a new line

6502 machine code (C64), 229 bytes

Kind of boring, still doable on a C64 with a somewhat decent amount of bytes :)

00 C0 A9 17 8D 18 D0 A2 2C 86 FE A6 FE A0 C0 BD B6 C0 20 1E AB C6 FE 10 F2 60
C6 49 52 53 54 20 00 D4 48 45 4E 20 00 54 48 45 20 00 54 48 45 59 20 43 41 4D
45 20 00 46 4F 52 20 00 53 50 45 41 4B 20 00 41 4E 44 20 C9 20 44 49 44 20 4E
4F 54 20 00 4F 55 54 2D 0D 00 C2 45 43 41 55 53 45 20 C9 20 57 41 53 20 4E 4F
54 20 41 20 00 4D 45 2D 41 4E 44 20 54 48 45 52 45 20 57 41 53 20 4E 4F 20 4F
4E 45 20 4C 45 46 54 20 54 4F 20 00 4D 45 2E 00 2E 0D 00 53 2C 20 00 D3 4F 43
49 41 4C 49 53 54 00 D4 52 41 44 45 20 D5 4E 49 4F 4E 49 53 54 00 CA 45 57 00
0D 00 8C 35 3A 6B 2A 1F B4 90 B0 56 50 3A 41 93 B0 25 35 2A 1F B4 90 A1 56 50
3A 41 93 A1 25 35 2A 1F B4 90 97 56 50 3A 41 93 97 25 35 2A 18

Online demo

Usage: SYS49152

Explanation:

As this contains mostly data, instead of a meaningless disassembly listing, here's the ca65-style assembly source that creates this machine code:

.segment "LDADDR"
                .word   $c000           ; load address
.code
                lda     #$17            ; upper/lower mode
                sta     $d018           ; store in VIC register
                ldx     #revpoemsize    ; initialize ...
                stx     $fe             ; ... counter
loop:           ldx     $fe             ; load current position
                ldy     #$c0            ; highbyte of strings always same
                lda     revpoem,x       ; load lowbyte from table
                jsr     $ab1e           ; output 0-terminated string
                dec     $fe             ; decrement position
                bpl     loop            ; >=0 ? -> repeat
                rts                     ; done

first:          .byte   "First ", 0
then:           .byte   "Then ", 0
the:            .byte   "the ", 0
came:           .byte   "they came ", 0
for:            .byte   "for ", 0
speak:          .byte   "speak ", 0
didnot:         .byte   "and I did not ", 0
out:            .byte   "out-", $d, 0
wasnot:         .byte   "Because I was not a ", 0
noone:          .byte   "me-and there was no one left to ", 0
me:             .byte   "me.", 0
period:         .byte   ".", $d, 0
comma:          .byte   "s, ", 0
socialist:      .byte   "Socialist", 0
unionist:       .byte   "Trade Unionist", 0
jew:            .byte   "Jew", 0
p:              .byte   $d, 0

revpoem:        .byte   <me, <for, <speak, <noone, <came, <then, <p
                .byte   <period, <jew, <wasnot, <out, <speak, <didnot
                .byte   <comma, <jew, <the, <for, <came, <then, <p, <period
                .byte   <unionist, <wasnot, <out, <speak, <didnot, <comma
                .byte   <unionist, <the, <for, <came, <then, <p, <period
                .byte   <socialist, <wasnot, <out, <speak, <didnot, <comma
                .byte   <socialist, <the, <for, <came, <first
revpoemsize     = * - revpoem - 1

Python 3, 209 bytes

t='they came for '
s='First '
for i in'Socialist','Trade 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.