One question frequently stops Christians in their tracks: "If the Gospel alone saves, then what about the heathen in Africa who never heard?" Can God justly convict a man who hasn't heard about Jesus? Some people hear the Gospel and reject it, but most never hear it. How can God condemn them?
Christians are ill-equipped to respond because they don't really understand something vital about sin and mercy. Sin brings guilt. Mercy is a gift. Anyone who is a sinner receives punishment he deserves. Anyone who is saved receives mercy he does not deserve and which is not owed him.
Think of this question: How could the sheriff send anyone to jail if he didn't offer him a pardon first? The answer is simple. If he's guilty, the sheriff is justified in throwing him in jail. There is no obligation to offer a pardon to a guilty man.
The same is true of God. He can justly convict a man who has broken His law even though the sinner has heard nothing about God's pardon in Jesus. God owes no one salvation. He can offer it to whomever He wishes. That's why it's called grace.