A mystery is something that is hidden or unknown. We usually use it to mean something that we don't understand, but in its religious sense it means something that you can't understand with reason, unless God tells you directly.
Faith is belief in something without any evidence. Isaac Asimov, a scientist, said that he believed that science would one day be able to explain everything, but he couldn't prove it -- he had faith. (He was explaining why he respected most people's religious beliefs even though he was a scientist and an atheist.) When a religious person talks about faith, they usually mean belief in God (or a god of some sort): you can't prove God exists, but you believe it.
Mother Theresa links the two. If there is mystery -- if there is something that you cannot possibly understand by logic or reason, something that you cannot prove but which nevertheless exists -- you must have faith to be able to deal with the mystery. So she really means it quite literally: if there is a mystery, there must also be faith.
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