Heathen is a term that the authors of Salem use to refer to the fans of the show on various official social networks managed by the crew.
'Heathen' means 'country-dweller' ('lives on the heath'). It's the English equivalent of the Latin-based word 'pagan' (from paganus, "country-dweller") and refers to anyone who practices the original tribal religions of Europe, which were prevalent before middle-eastern faiths like Christianity and Islam made their way out of the desert. Oft times used as an insult by Christians against people who don’t worship their god. Not to be confused with the modern meaning of the term neo-pagan or pagan, that generally indicates the practice of a worship reconstructed on the basis of pre-Christian religions, such as Wicca or other forms of modern witchcraft but also of religions that refer to Greek-Roman religion (Hellenism) or to the Norse one (Asatru and similar). Note that, unlike some aboriginal religions that can be found in Australia and very rare cases of remote villages in areas that have little contact with the modern world, as some tribes of Eskimos, it is virtually impossible that the pre-Christian religions have survived in Europe, Middle East and America without having undergone changes and syncretism with the Abrahamic religions. Assume that means totally ignore the historical context and demand anachronisms.