'Twas mercy brought me from my Pagan land (1)
We'll start here, because, you know, it's the beginning. And "in the beginning," our speaker was a pagan. Her sense of identity was associated with where she was from. That's not uncommon, but it's particularly important here since the title of the poem suggests that this is about leaving Africa for America. Her identity also seems like something she needed mercy to be saved from. It complicates her sense of self. Does she not like her homeland? Her self? Her former self? What's so merciful about being kidnapped as a slave? It isn't until later that we see her transcend issues of race through her faith in redemption as a source of identity, rather than country and color.
Taught my benighted soul to understand (2)
Just a quick thought: in the first line, she was taken physically. In this line, the speaker's soul is being "taught" something. So far, her body, mind, and soul have been changed in the poem. In other words, the speaker is addressing identity as something that has a physical, mental, and spiritual quality. Ever read "Ain't I a Woman?" by Sojourner Truth? She takes her audience through the mental, physical, and spiritual aspect of identity as a slave as well. Check it out here and see if you can find any parallels with this poem.
One I redemption neither sought nor knew (4)
Again, she's referring to the past. The good ol' days as a pagan! But her sense of self was something that was lost, or at least unaware of the possibility of being saved. That's also called hopelessness. On the other hand, she may just be saying that, before she came to America, she'd never heard of Christianity or the concept of being saved by God. So, it's not a criticism of her self, rather it's a statement about the difference in her identity between Africa and America.