He probably didn't. There are slightly different versions of this quote out there, and the earliest example I was able to find appears to be from 1931.
> Mark Twain once said, "Most people are bothered by those passages in Scripture which they cannot understand; but as for me, I have always noticed that the passages in Scripture which trouble me most are those which I do understand.
There are searchable compilations of his writings on religion, like Mark Twain on Religion and The Bible According to Mark Twain. You can also search Twain's letters here and here. No dice.