The more I think about this, perhaps I am over complicating things in my head.
I assume that the new t-stat, to be UL listed, MUST have a ground screw on it somewhere so the two bare copper wires from the wall would just pigtail to that screw like it does in today's world.
Then black line and load side from wall to black line and load side on new t stat and then I THINK red line and load side from t stat to white line and load side from wall. In this case, white = hot, not neutral as normal because it's a 220v circuit.
What's throwing me is how in today's setup, the two whites from the wall are pigtailed to one white from the t-stat.
If someone could confirm, that'd be great.
P.S. I'm a big fan of testing volts with my meter even after turning off the breaker so I have that covered :-)