'Twas mercy brought me from my Pagan land,
Taught my benighted soul to understand
That there's a God, that there's a Saviour too:
Once I redemption neither sought nor knew.
Philis Wheatley was brought to America as a slave from Africa (where paganism is mostly practised). It is quite normal to assume she is referring to her history. However, this line is referring to the transformation of an individual. In Christianity, salvation is obtained by God’s mercy. 
 
 Wheatley seems to be happy to have been brought to America, a land of Christianity. 
 Notice that she uses the word “brought” instead of the similar sounding (and accurate) “bought,” as if to passivly protest against slavery. Her happiness is based on the fact that she found divine mercy in Christianity, and God alone – not worldly circumstances – caused it to happen. 
 Dr. Dana A. Williams, English Department Chair at Howard University, reads this poem to be “deeply ironic and deeply sarcastic.”  She argues that Wheatley is suggesting Christianity’s debt to her native Africa’s paganism.  See her commentary in  this video .
On Being Brought from Africa to America