On the baseboard heater are to wires line 1 and line 2 , I connected the main power supply to these wires but my thermal relay kit now has to be wired to this, I have a yellow, blue and black wire and white and brown wire that connects to a low voltage thermostat.


How do I connect all these wires to have controlled heat.

Not sure if I'm reading correctly. TK lives in the North East and has experience with these.
I live in Florida, sorry. But
Any large load that the low voltage thermostat can't handle will need a relay(contactor)
To connect the large load(heater). You would also need a transformer to drop to 24 volts
For contactor coil.
No Red on the Thermostat?
If thermostat is for heat only, then you need only to connect 2 wires, Turn to heat, and see which 2 have continuity.

The thermostat is a low voltage (mercury ) , I need to connect this to a thermal relay to the baseboard heater

Sounds like switch on Bi metallic spring for control. Need to determine what 2 wires on thermostat make a connection when set to heat.
What is coil voltage to relay?
Did you determine which 2 wires make connection when set to heat?